Is the exchange rate a shock absorber or a source of shocks? Evidence from the U.S.

We examine the stabilization role of the exchange rate in the U.S. economy using a factor augmented vector autoregression model. We find that exchange rate shock explains a large fraction of the variation in exchange rate and transmits major disturbances to the real economy. Further, we find that demand and supply shocks explain less than a quarter of the exchange rate movement. We provide robust evidence that although the exchange rate plays some role as a shock absorber, its role as an independent source of shocks is more dominant for the U.S. economy. The foreign exchange market breeds its own shocks which are destabilizing not only to the value of the dollar but to the overall economy as well. Our results suggest that policymakers need to take foreign exchange market fluctuations into account when making macroeconomic policy decisions.     

经济增长为什么没有带来就业增加？

20世纪90年代以来,经济增长的就业弹性系数持续下降。为什么高速的经济增长并没有带来就业水平的显著增加？本文构建的带有雇佣成本的就业模型显示：由于雇佣和解雇成本的存在,不同类型的冲击对企业雇佣政策的影响明显不一样。具体而言,持久性的供给冲击可以带来就业水平持久性的变化;暂时性的需求冲击只能带来较小幅度的、暂时性的就业变化。所以经济增长是否能够带来就业增加依赖于推进增长的冲击来源;利用Blanchard—Quah的结构VAR分解数据,文章实证研究了不同类型的冲击对就业的影响。经验研究的结果支持理论模型的基本假说。本文的研究中国经济增长过程的就业弹性持续下降提供了合理解释。     

Analysis of shock transmissions to a small open emerging economy using a SVARMA model

Using a parsimonious structural vector autoregressive moving average (SVARMA) model, we analyse the transmission of foreign and domestic shocks to a small open emerging economy under different policy regimes. Narrower confidence bands around the SVARMA responses compared to the SVAR responses, advocate the suitability of this framework for analysing the propagation of economic shocks over time. Malaysia is an interesting small open economy that has experienced an ongoing process of economic transition and development. The Malaysian government imposed exchange rate and capital control measures following the 1997 Asian financial crisis. Historical decomposition and variance decomposition allow contrast of shocks propagating under different policy regimes. Malaysia is highly exposed to foreign shocks, particularly under the managed float exchange rate system. During the pegged exchange rate period, Malaysian monetary policymakers experienced some breathing space to focus on maintaining price and output stability. In the post-pegged period, Malaysia's exposure to foreign shocks increased and in recent times are largely driven by world commodity price and global activity shocks.     

Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis

This study examines market co-movements in Islamic and mainstream equity markets across different regions in order to discover contagion during 9 major crises and to measure integration between markets. Using wavelet decomposition to unveil the multi-horizon nature of co-movement, we find that the shocks were transmitted via excessive linkages, while the recent subprime crisis reveals fundamentals-based contagion. While Islamic markets show traces of reduced exposure to the recent crisis owing to low leverage effect, their less diversified portfolio nature increases vulnerability to other crises. We generally find incomplete market integration, with relatively higher fundamental integration for Islamic markets which may be attributable to their real sector allocation nature.     

过度反应:中国经济“缩长”之解释

"缩长"曾使国内外学者感到困惑。本文中我们将采用一个离散型动态模型来研究这一商业周期现象。我们发现当经济具有高增长的稳定状态时,一个过度的投资冲击将使"缩长"成为可能。这种解释符合中国的主要宏观经济变量在最近一段时间所体现出的序列波动。而稳定状态下的高增长则可以被中国目前的体制环境所解释。     

Unemployment and the economics of gradualist policy reform

This paper investigates the efficiency of adjustment to economic reform programs when the cost of adjustment arises from high unemployment that can be generated as contracting sectors shrink faster than expanding sectors grow. Under plausible assumptions on the adjustment process, the speed of adjustment to “shock therapy” reforms is shown to be excessively rapid, and the rate of unemployment to be excessively high during the transition to the new equilibrium. The authorities can improve the efficiency of the adjustment by removing the distortion gradually, rather than abruptly. Gradualism has beneficial income distributional, as well as efficiency properties, because it improves welfare of the unemployed, who are necessarily the least advantaged social group in this model.     

贸易开放度与通货膨胀:基于社会福利的分析框架

本文在开放经济和价格粘性的模型中,从货币冲击出发,研究贸易开放度与通货膨胀的影响关系,结果表明:未被预期到的扩张性货币冲击会形成通货膨胀缺口,通货膨胀缺口会带来社会福利的增加,政府可以从通货膨胀缺口获得收益.贸易开放度越高,政府从通货膨胀缺口所获得的收益越小,因此政府会采取紧缩的货币政策来降低通货膨胀率.用1978年-2003年中国的数据,通过协整和ECM模型分析发现贸易开放度与通货膨胀率在长期内呈负相关关系,并且贸易开放度是降低通货膨胀率的原因,因此维持协整关系的稳定有利于降低通货膨胀率.     

American repatriate employees' retrospective assessments of the effects of cross-cultural training on their adaptation to international assignments

With 10 to 50 per cent of expatriates curtailing their assignments early, and the cost of foreign placement estimated at $500,000, training for expatriates needs to be improved. This study investigates different methods of training, and the results as perceived by repatriates. Repatriates were asked about the amount and type of cross-cultural training they had received and their effectiveness and productivity during the overseas assignment. Repatriates' responses included specific comments about their individual and familial experiences. It was hypothesized that managers who receive rigorous cross-cultural training before and during the assignment will not suffer intense culture shock and will become effective more rapidly than managers who have not had cross-cultural training. The results demonstrated that integrated cross-cultural training does reduce the time necessary to adjust and to achieve cultural proficiency and reduces the time necessary to become effective and productive in the assignment.     

MEASURING MACROECONOMIC INSTABILITY: A CRITICAL SURVEY ILLUSTRATED WITH EXPORTS SERIES

For at least 40 years, the analysis of the causes and consequences of macroeconomic instability has greatly deepened our understanding of the handicaps faced by developing countries. This concern on economic instability is evidenced by a broad spectrum of indicators, based on the deviation of observed values of a given economic aggregate from its reference or trend value. In general, the choice of this or that indicator is not discussed advocating that the resulting instability indicators are closely correlated. Focusing on measurements of instability in export revenue data for 134 countries from 1970 to 2005, this paper finds that this assertion may be true for variance‐based indicators, measuring the average magnitude of deviations from the trend. However, great discrepancies may arise between different measures of the asymmetry or of the occurrence of extreme deviations around the trend when different trend computation methods are used. Our purpose is, therefore, to invite further discussions regarding the use of these indicators, and to highlight the different dimensions of instability, which have been so far unheeded by the economic literature.     

货币因素、供给冲击与中国通胀动态特征

本文将以货币供应量和汇率为代表的货币因素、供给因素以及需求因素引入菲利普斯曲线建立了新凯恩斯混合菲利普斯曲线,并利用1995年第1季度～2013年第2季度的数据来实证分析不同因素对于我国通货膨胀动态衍化的影响。研究表明：前瞻性预期与通货膨胀惯性对于我国通货膨胀的影响同时存在,但是前瞻性预期对于我国通货膨胀的影响较大;其次,货币供应量变动对于我国通货膨胀率影响具有最重要的作用,而代表需求因素的产出缺口以及代表供给冲击的原油价格对于我国通货膨胀的影响很小;最后,人民币实际汇率升值对通货膨胀可以产生一定的抑制作用,但作用不大。